Does CAPM work across and within asset classes - done correctly
I haven't posted much recently because I've been busy with other stuff, and I only post when I feel like I have something to say (the advan...
Betting against beta
sciencedirect.comWe present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five…
How much should we get paid for skew risk? Not as much as you think!
A bit of a theme in my posts a few years ago was my 'battle' with the 'classic' trend followers, which can perhaps be summarised as: Me: Be...